Numerical Approximations for Stochastic Differential Games: The Ergodic Case

DOI10.1137/S0036301290140034zbMath1151.91352OpenAlexW2041285519MaRDI QIDQ4652503

Harold J. Kushner

Publication date: 28 February 2005

Published in: SIAM Journal on Control and Optimization (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1137/s0036301290140034

zbMATH Keywords

numerical methodsstochastic differential gamesMarkov chain approximations

Mathematics Subject Classification ID

Differential games (aspects of game theory) (91A23) Markov chains (discrete-time Markov processes on discrete state spaces) (60J10) Applications of Markov chains and discrete-time Markov processes on general state spaces (social mobility, learning theory, industrial processes, etc.) (60J20) Numerical analysis or methods applied to Markov chains (65C40) Stochastic games, stochastic differential games (91A15) Numerical solutions to stochastic differential and integral equations (65C30)

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